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A Multi-Factor Model for Energy Derivatives

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References

1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
1981The relation between forward prices and futures prices740 cited
1998Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot263 cited
1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1186 cited

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2008A multi-factor jump-diffusion model for commodities†45 cited
2013Humps in the volatility structure of the crude oil futures market: New evidence33 cited
2021A survey of electricity spot and futures price models for risk management applications33 cited
2016From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options31 cited

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